Help with my psp??????

ok heres what hapend ..... i downloaded a few songs to my psp...i try to play them but it says the following"wma play back is not abled. go to settings>system settings, and select enable wma play back to enable this featurebut wen i do that it tells me that i got to open a new internet connection but the problem is i dont now how to an the instruction book let doesnt make sense?can any body help me or give me directions its really confusing???